Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0267 |
| Annualized Std Dev | 0.1396 |
| Annualized Sharpe (Rf=0%) | 0.1912 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4694.0000 |
| NAs | 1.0000 |
| Minimum | -0.0667 |
| Quartile 1 | -0.0049 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0052 |
| Maximum | 0.0752 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0001 |
| Stdev | 0.0088 |
| Skewness | 0.0660 |
| Kurtosis | 4.6083 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0063 |
| Gain Deviation | 0.0059 |
| Loss Deviation | 0.0059 |
| Downside Deviation (MAR=210%) | 0.0116 |
| Downside Deviation (Rf=0%) | 0.0062 |
| Downside Deviation (0%) | 0.0062 |
| Maximum Drawdown | 0.2846 |
| Historical VaR (95%) | -0.0139 |
| Historical ES (95%) | -0.0193 |
| Modified VaR (95%) | -0.0133 |
| Modified ES (95%) | -0.0199 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-12-22 | 2010-04-05 | 2011-09-22 | -0.2846 | 694 | 322 | 372 |
| 2012-07-26 | 2013-12-27 | 2015-01-14 | -0.2296 | 621 | 358 | 263 |
| 2016-07-11 | 2018-11-02 | 2019-08-14 | -0.2201 | 780 | 586 | 194 |
| 2020-08-05 | 2021-03-18 | NA | -0.2194 | 158 | 156 | NA |
| 2003-06-16 | 2004-05-13 | 2008-03-20 | -0.1701 | 1200 | 231 | 969 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2002 | NA | NA | NA | NA | NA | NA | 0.6 | 0.6 | -1.6 | -0.9 | 0.6 | -0.8 | -1.4 |
| 2003 | 0.3 | 0.6 | -0.7 | -0.5 | -0.2 | -0.9 | -0.5 | -0.2 | -0.8 | 0.9 | -1 | -0.5 | -3.5 |
| 2004 | 0.7 | -0.4 | -0.7 | 0.4 | -1.3 | -0.2 | 1.2 | -0.3 | -0.9 | -1 | -0.6 | 0.2 | -2.9 |
| 2005 | -0.5 | -0.3 | 0 | -0.2 | 0.9 | -1.6 | -0.7 | -0.9 | -0.3 | -0.6 | -0.6 | -0.2 | -5.1 |
| 2006 | -0.7 | -1 | 0 | -1.1 | 0 | 1 | -0.4 | -0.4 | -0.1 | 0.2 | -0.1 | -0.1 | -2.7 |
| 2007 | -0.5 | -0.5 | -0.2 | -0.3 | -0.9 | 1 | -0.6 | 0.1 | 0.2 | 0.9 | -0.5 | 0.6 | -0.7 |
| 2008 | 0.3 | 1.5 | -2 | -0.4 | 0.7 | -0.6 | -0.1 | -0.4 | 0.9 | -1.3 | 3.5 | -2.1 | -0.2 |
| 2009 | -0.3 | -0.6 | 0.6 | -1 | -3.3 | -0.5 | 1.9 | -0.6 | 1.1 | 1.5 | -1.4 | -0.5 | -3.1 |
| 2010 | -1.3 | -0.4 | -0.6 | 1.2 | 0.4 | -0.1 | 1.6 | -2.4 | -0.9 | -0.7 | -2.6 | 1.1 | -4.7 |
| 2011 | -0.8 | 0 | 0.1 | 0.3 | 1 | -0.5 | 0.7 | 1.8 | 2.5 | 3.1 | -0.7 | 0.3 | 7.8 |
| 2012 | -1.4 | -1.2 | -1.7 | -0.8 | 2.2 | -1.3 | -0.7 | 1.4 | 0.2 | -0.8 | -0.3 | -1.7 | -6 |
| 2013 | -1.5 | 0.3 | 0.5 | 0.8 | -0.3 | 0 | -2.2 | -0.1 | -0.6 | -1.3 | 0 | -0.6 | -4.9 |
| 2014 | 0.7 | 0.1 | -1.1 | 0.8 | 0 | -1.1 | 0.5 | 0.1 | 1.7 | -0.3 | -0.8 | 0.2 | 0.7 |
| 2015 | 1.8 | 0.8 | 1.1 | -1.5 | -1.3 | -1.6 | 0.7 | 0.5 | 0.2 | 0.8 | 1.1 | 0.4 | 3.1 |
| 2016 | -0.5 | -1.9 | 0.1 | 0.3 | 0.2 | 1.2 | -1.3 | -0.1 | -0.9 | -0.2 | -1.3 | 0.2 | -4.2 |
| 2017 | -0.8 | -1.9 | 0.3 | -1 | -0.2 | -0.2 | 0.5 | -1 | 0.2 | 0.2 | 1.1 | 0.2 | -2.6 |
| 2018 | -1.7 | 0.5 | 0.5 | -0.6 | -0.8 | -0.3 | -1 | -0.2 | -1 | -0.1 | 0.4 | 0.4 | -3.9 |
| 2019 | -0.8 | -1.1 | -1.6 | 0.2 | 1.3 | -0.4 | 1.8 | 0 | 0.1 | -0.5 | -0.2 | -1 | -2.3 |
| 2020 | 0.9 | 2.3 | 1.3 | 0.7 | -0.8 | -0.3 | -0.1 | 1 | 0.1 | -1 | -1.6 | 0.1 | 2.6 |
| 2021 | 0 | -1.4 | 0.6 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.8 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
